If $H$ and $K$ are subgroups of $G$ whose orders are coprime. Is $H\cap K$ a subgroup of $H$ and $K$?
They both have the same identity, so we know at minimum we have $\{e\}$ so it is the trivial group if they have nothing else in common.
If they have another element that isn't the identity, they will need it's inverse as well and it will generate a cycle, like $a\in H$ and $a\in K$ has $\langle a \rangle\in H,K$. Then for them to not be the same group, they need other elements, but then these other elements will need to be closed under operations with $a$, and I am lost on where to progress.
Yes, it is a subgroup. We can use one step subgroup test and let $a,b$ be any two elements of $M=H \cap K$ where $b$ is non zero. Then $ab^{-1} \in H$ as $a,b \in H$. Similarly for $K$.
How about you try to prove that intersection of any number (finite/ infinite) of subgroups of a group is a subgroup, and then it just becomes obvious. I don't know why you required orders to be co-prime, it is true without the condition. Co-primeness of orders of $H$ and $K$, only forces $|H\cap K|=1$, by Lagrange theorem.